The Ghostbusters star, who was Letterman's first The Late Show guest in 1993, became his last official celebrity interviewee on Tuesday (19May15) as the beloved late-night host prepared to retire.

Madcap Murray also took to the streets outside the Ed Sullivan Theater in New York to meet fans and perform a farewell song, inspired by peace anthem Give Peace a Chance, dedicated to his friend, who will end his run on the show with a tribute episode on Wednesday (20May15).

Bob Dylan also joined Letterman for his penultimate show, and performed The Night We Called It A Day.

It was the folk rocker's first appearance on the show since he became one of his first musical guests back in 1993.